# Structural Break Analysis: Pre/Post GFC

| Model | Dep Var | N | Countries | R² |
|---|---|---|---|---|
| E1: pre-GFC rating | rating_numeric | 795 | 76 | 0.541 |
| E2: post-GFC rating | rating_numeric | 1,253 | 79 | 0.510 |
| E3: pre-GFC spread | sovereign_spread | 359 | 23 | 0.448 |
| E4: post-GFC spread | sovereign_spread | 368 | 23 | 0.287 |
| Chow test | rating_numeric | 2,048 | 79 | 5.482 |

## Key Coefficients

| Model | Variable | Coef | SE | p-value | Sig |
|---|---|---|---|---|---|
| E1: pre-GFC rating | Z_1 | 8.3765 | 10.9202 | 0.4433 |  |
| E1: pre-GFC rating | Z_2 | -0.6856 | 1.6348 | 0.6751 |  |
| E1: pre-GFC rating | Z_3 | 0.0233 | 0.0667 | 0.7274 |  |
| E1: pre-GFC rating | govt_debt_gdp | -0.0299 | 0.0047 | 0.0000 | *** |
| E2: post-GFC rating | Z_1 | 20.6740 | 7.3466 | 0.0050 | *** |
| E2: post-GFC rating | Z_2 | -2.4733 | 1.0382 | 0.0174 | ** |
| E2: post-GFC rating | Z_3 | 0.0907 | 0.0411 | 0.0275 | ** |
| E2: post-GFC rating | govt_debt_gdp | -0.0256 | 0.0047 | 0.0000 | *** |
| E3: pre-GFC spread | Z_1 | 29.1471 | 10.2620 | 0.0048 | *** |
| E3: pre-GFC spread | Z_2 | -4.5971 | 1.3984 | 0.0011 | *** |
| E3: pre-GFC spread | Z_3 | 0.1865 | 0.0533 | 0.0005 | *** |
| E4: post-GFC spread | Z_1 | -7.6870 | 22.1699 | 0.7290 |  |
| E4: post-GFC spread | Z_2 | 0.9980 | 2.8445 | 0.7259 |  |
| E4: post-GFC spread | Z_3 | -0.0392 | 0.1028 | 0.7031 |  |
| Chow test | Z_1 | 5.4816 | 0.0000 | 0.0000 | *** |

*Pre/post GFC subsamples. Last row: Chow F-stat (R² column) and p-value.*